| Close | |
|---|---|
| Annualized Return | -0.0257 |
| Annualized Std Dev | 0.1494 |
| Annualized Sharpe (Rf=0%) | -0.1723 |
| Close | |
|---|---|
| Observations | 4044.0000 |
| NAs | 1.0000 |
| Minimum | -0.1272 |
| Quartile 1 | -0.0031 |
| Median | 0.0000 |
| Arithmetic Mean | -0.0001 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0033 |
| Maximum | 0.1734 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0001 |
| Stdev | 0.0094 |
| Skewness | -0.0733 |
| Kurtosis | 66.9141 |
| Close | |
|---|---|
| Semi Deviation | 0.0068 |
| Gain Deviation | 0.0077 |
| Loss Deviation | 0.0084 |
| Downside Deviation (MAR=210%) | 0.0118 |
| Downside Deviation (Rf=0%) | 0.0069 |
| Downside Deviation (0%) | 0.0069 |
| Maximum Drawdown | 0.5415 |
| Historical VaR (95%) | -0.0106 |
| Historical ES (95%) | -0.0211 |
| Modified VaR (95%) | -0.0030 |
| Modified ES (95%) | -0.0030 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2005-03-15 | 2020-03-18 | NA | -0.5415 | 4033 | 3779 | NA |
| 2005-03-08 | 2005-03-08 | 2005-03-10 | -0.0010 | 3 | 1 | 2 |
| 2005-03-11 | 2005-03-11 | 2005-03-14 | -0.0010 | 2 | 1 | 1 |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | NA | 0.1 | -0.6 | -2.1 | 0.5 | 0.7 | 0 | 0.4 | 0.8 | 0.1 | -0.6 | 0.2 | -0.5 |
| 2006 | -0.2 | 0.4 | -0.1 | 0.2 | 0.4 | 0.4 | 0.1 | -0.2 | -1 | -0.5 | 0.5 | 0.6 | 0.4 |
| 2007 | 0.9 | 0.1 | -0.3 | -0.6 | -0.4 | 0.2 | -0.5 | 1.5 | 0.8 | -1 | 0.5 | 0.1 | 1.2 |
| 2008 | -0.4 | -1.6 | 1.7 | -0.1 | 0.4 | 0.1 | 0.6 | 0.2 | 3.5 | 0.9 | -3 | 1.5 | 3.7 |
| 2009 | -1 | -2.4 | 1.5 | 1.4 | 0.9 | 0.3 | 0.6 | -0.1 | -0.7 | -0.7 | 0.5 | -0.5 | -0.3 |
| 2010 | 0.4 | 0.2 | 0.4 | 0.5 | 1.1 | -0.6 | 0.2 | 0.1 | -0.4 | 0.5 | 0.5 | 0.6 | 3.6 |
| 2011 | 1 | -0.5 | -0.2 | 0.2 | 0.2 | 0.1 | 1.2 | 0 | -0.7 | -0.6 | -0.3 | -0.8 | -0.4 |
| 2012 | 0 | -0.5 | 0.4 | 0.5 | -0.8 | 0 | 0.4 | 0.5 | 0.4 | 0.3 | -1.1 | -0.3 | -0.2 |
| 2013 | 0 | -0.3 | -0.6 | -0.5 | -1.8 | -0.9 | -0.9 | 0 | -0.3 | -0.3 | -0.2 | -0.5 | -6.2 |
| 2014 | -0.4 | -0.1 | 0.3 | 0.1 | 0.1 | -0.2 | 0.3 | 0.2 | -0.3 | 0 | -0.1 | 0.8 | 0.6 |
| 2015 | 0.5 | 0.8 | -0.2 | 0.3 | -0.1 | 0.9 | 0.4 | 0.8 | -1.3 | 1 | 0 | 0.8 | 3.9 |
| 2016 | 0.1 | 0.8 | 0.4 | 0.1 | 0.1 | 0.4 | -0.1 | -0.1 | 1.2 | -0.2 | -0.2 | 0.4 | 2.8 |
| 2017 | -0.5 | 0.1 | 1.4 | -0.4 | 0 | 0.7 | -0.2 | 0 | 0.3 | -0.2 | 0.1 | 0.3 | 1.7 |
| 2018 | -0.1 | -1.2 | 0.5 | 0 | 0.1 | 0.4 | -0.3 | -0.9 | 0.3 | 0.6 | 0.2 | -0.8 | -1.2 |
| 2019 | 0.1 | 0.3 | -0.5 | 0.5 | 0.5 | -1.3 | 0.4 | 0.1 | 1.2 | 0 | 0 | 0.4 | 1.8 |
| 2020 | 0.1 | -3.8 | -2.9 | -1.2 | 0.9 | 0.2 | 0.2 | 0.5 | 0.3 | -0.1 | -0.2 | -0.1 | -6.1 |
| 2021 | 0.2 | 1.1 | 0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.7 |